VP, Modeler, Portfolio Management Unit
Core
Design, develop, and implement quantitative models for credit risk and other relevant areas, adhering to regulatory standards and best practices.
Role type
VP, quantitative modeler (credit risk)
Builds
Credit risk models and quantitative frameworks for a leading ASEAN bank
Domain
Banking / Financial Services / Credit Risk
Deliverable
production ML models
Required skills
quantitative modeling, Python, SAS, regression analysis, time series analysis, machine learning algorithms, stochastic processes, model validation, back-testing, stress testing, sensitivity analysis, scenario analysis, regulatory compliance (Basel III, IFRS 9)
Preferred skills
Master's or Ph.D. in quantitative field, experience in banking environment
Technologies
Python, SAS
Responsibilities
Design and implement quantitative models for credit risk; Perform model validation including back-testing and stress testing; Document model methodologies and validation results; Collaborate with business units, risk management, and IT teams; Monitor model performance and recommend adjustments; Present complex model concepts to stakeholders
Seniority
VP, strategic leadership with hands-on technical execution